Introduction to stochastic calculus applied to finance
著者
書誌事項
Introduction to stochastic calculus applied to finance
Chapman & Hall, 1996
- タイトル別名
-
Introduction au calcul stochastique appliqué à la finance
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注記
Includes bibliographical references (p. [179]-182) and index
内容説明・目次
内容説明
In recent years the growing importance of derivative products financial markets has increased financial institutions' demands for mathematical skills. This book introduces the mathematical methods of financial modeling with clear explanations of the most useful models. Introduction to Stochastic Calculus begins with an elementary presentation of discrete models, including the Cox-Ross-Rubenstein model. This book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in applied probability and finance theory.
目次
Introduction. Discrete-time models. Optimal stopping problem and American options. Brownian motion and stochastic differential equations. The Black-Scholes model. Option pricing and partial differential equations. Interest rate models. Asset models with jumps. Simulation and algorithms for financial models. Appendix. References. Index
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